Objective

Current income and long-term capital appreciation

Strategy

Uses top down macroeconomic analysis, along with fundamental industry and company research, to capture inefficiencies in the valuation of sectors and individual securities; this is combined with duration management (+/– 2.5 years of the benchmark) in pursuit of above-benchmark returns over a full market cycle

Fund Facts
Asset Manager
  • Brandywine Global Investment Management(Since 2/28/2019)
  • Longfellow Investment Management(Since 5/1/13)
Benchmark Bloomberg Barclays 1-5 Year Government/Credit
Fund Inception Date Class A & Class B: May 1, 2013
Mimimum Investment Class A: No minimum; Class B: $5 million
Expense Ratio Class A: 0.54%; Class B: 0.39%

Annual Average Total Returns
(%) as of 03/31/2020

Trailing 3 Months 1 Year 3 Years 5 Years 10 Years
CUIT Opportunistic Bond Fund Class A -1.78 1.61 1.85 1.71 *
CUIT Opportunistic Bond Fund Class B -1.78 1.72 2.00 1.86 *
Bloomberg Barclays 1-5 Year US Government/Credit Index 2.17 5.58 3.08 2.27 *
Calendar Year 2019 2018 2017 2016 2015 2014
CUIT Opportunistic Bond Fund Class A 5.35 0.82 1.63 2.54 0.98 1.23
CUIT Opportunistic Bond Fund Class B 5.56 0.96 1.78 2.69 1.23 1.27
Bloomberg Barclays 1-5 Year US Government/Credit Index 5.01 1.38 1.27 1.56 0.97 1.42

 

Source: BNY Mellon, SS&C

Characteristics as of 03/31/2020

Statistics Fund Index
Average Maturity (Yrs) 4.6 2.7
Effective Duration (Yrs) 3.4 2.6
Average Quality A AA
Yield-to-Maturity 3.6% 1.1%
Current Yield 3.5% 2.3%
# of Securities 308 2,930
Effective Duration Fund Index
< 1 Year 19.6 4.0
1 - 3 Years 36.9 58.7
3 - 5 Years 34.1 37.3
5-7 Years 2.5 0.0
7-10 Years 1.6 0.0
10-20 years 5.2 0.0
> 20 years 0.2 0.0
Market Sector Analysis Fund Index
Treasury and Gov’t Related 14.1 76.1
Corporate 42.0 23.9
MBS 4.4 0.0
CMBS 17.3 0.0
ABS 11.5 0.0
Merger/Arbitrage 9.6 0.0
Cash 1.0 0.0
Credit Quality Fund Index
AAA 38.6 72.9
AA 10.4 4.4
A 23.7 11.6
BBB 21.0 10.7
Below BBB 6.4 0.4
Risk Metrics Fund
(5 YR)
Index
(5 YR)
Standard Deviation 1.1 1.4
Tracking Error 0.7 N/A
Sharpe Ratio 1.6 0.7
Information Ratio 1.1 N/A
Upside Capture 99.0 100.0
Downside Capture 30.8 100.0

 

Source: FactSet, eVestment
Credit Quality: Cash is included in AAA
Effective Duration: Cash is included in <1 Year

  • Q1 2020 Performance Review

    12-Month Review

    • Sector allocation and security selection accounted for virtually all of the underperformance for the period. Duration and yield curve positioning had little impact on relative performance. Although the Merger/Arbitrage allocation was additive.
    • The shorter average duration in the latter half of 2019 negated the positive impacts of the more recent longer duration position.
    • Curve positioning was slightly negative/neutral for the period.
    • Sector allocation was the biggest detractor due to the macro events of the first quarter as investors rushed to safe-haven Treasuries.
    • Security selection was also negative as holdings within Industrials underperformed; notably, exposure to oil related companies detracted as oil priced meaningfully declined during the first quarter.
    • Merger/Arbitrage detracted in the first quarter as the number of deals declined significantly,but on the strength of its performance in 2019 had a positive contribution.

    3-Month Review

    • The slightly longer duration posture throughout the quarter had a positive impact on relative performance in the first quarter as rates declined.
    • Yield curve positioning was slightly negative/neutral for the period.
    • Sector allocation had the largest impact on relative performance as the significant underweight to Treasuries combined with overweights to corporates and exposure to ABS and CMBS detracted substantially. Corporate spreads widened considerably as investors reduced exposure and rushed into safe-haven Treasuries.
    • Security selection was also negative in the first quarter. Specific holdings within Industrials accounted for much of the negative stock selection results with issues in Energy and restaurants accounting for the shortfall.
    • Merger/Arbitrage portfolio, with the significant decline in deals exacerbated the underperformance of the Fund.

    Current Positioning

    • Duration position is longer than the benchmark
    • Yield Curve position is toward a neutral to slight flattening across the curve.
    • Sector exposure emphasizes Corporates and securitized areas, which is supported by a continued underweight to Treasuries.
    • High yield exposure was similar to the allocation at the end of the 4th quarter. Allocation to high yield securities is predominately held in BB and B credit buckets.

 

All attribution is based on gross portfolio performance.

  • Fund Fact Sheet

    PDF
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